Change in Open Interest for commercial traders from legacy commitment of traders (COT) report. For the main symbol but also allows to override it. Also allows to include options in consideration.
study("Commercial Interest Change", shorttitle="Com Int Chg", precision=0)
force_root = input("", title="Override Product")
is_includeoptions = input(false, type=bool, title="Include Options")
fxroot =
ticker == "USDCAD" ? "CD" :
ticker == "USDCAD" ? "CD" :
ticker == "USDCHF" ? "SF" :
ticker == "USDCZK" ? "CZ" :
ticker == "USDHUF" ? "FR" :
ticker == "USDILS" ? "IS" :
ticker == "USDJPY" ? "JY" :
ticker == "USDMXN" ? "MP" :
ticker == "USDNOK" ? "UN" :
ticker == "USDPLN" ? "PZ" :
ticker == "USDRUB" ? "RU" :
ticker == "USDSEK" ? "SE" :
ticker == "USDZAR" ? "RA" :
ticker == "EURUSD" ? "EC" :
ticker == "AUDUSD" ? "AD" :
ticker == "GBPUSD" ? "BP" :
ticker == "NZDUSD" ? "NE" :
ticker == "BRLUSD" ? "BR" :
""
root = force_root == "" ? fxroot == "" ? syminfo.root : fxroot : force_root
code = root + (is_includeoptions ? "_FO" : "_F") + "_L_CHG"
is_inversed =
ticker == "USDCAD" ? true :
ticker == "USDCAD" ? true :
ticker == "USDCHF" ? true :
ticker == "USDCZK" ? true :
ticker == "USDHUF" ? true :
ticker == "USDILS" ? true :
ticker == "USDJPY" ? true :
ticker == "USDMXN" ? true :
ticker == "USDNOK" ? true :
ticker == "USDPLN" ? true :
ticker == "USDRUB" ? true :
ticker == "USDSEK" ? true :
ticker == "USDZAR" ? true :
false
long_total = security("QUANDL:CFTC/"+code+"|4", "D", close)
short_total = security("QUANDL:CFTC/"+code+"|5", "D", close)
long = is_inversed ? short_total : long_total
short = is_inversed ? long_total : short_total
plot(long, color = green, title="Long")
plot(short, color = red, title="Short")
plot(long-short, color = yellow, title="Net", style=histogram)
hline(0, color=yellow, linestyle=dashed)